Why didn't Victor Maitland's gang just kill Axel along with the employee who stole from their boss?
The short answer of course, is that Axel Foley is the main character/protagonist so in a movie context, Axel isn't going to get killed along with Mikey. But keeping Axel alive, ultimately allowed him to uncover the link between Maitland, drugs, and his friend's murder.
Let's put things into perspective, don't you think that had Victor Maitland's men gotten rid of Axel right then and there, the matter would have been viewed as either a robbery gone wrong; or even a hit related to the detective's undercover work shown in the beginning of the film?
Maitland must've been the most careless drug trafficker in America to not anticipate that he would be detected at some point. This is the same Victor Maitland that mind you, who put an ex-con like Axel's friend in a position where he could steal. Wouldn't it have been less of a hassle had Maitland allowed only a select few people handle the shipments containing drugs or money?